Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0367
Annualized Std Dev 0.2467
Annualized Sharpe (Rf=0%) -0.1488

Row

Daily Return Statistics

Close
Observations 4315.0000
NAs 1.0000
Minimum -0.2258
Quartile 1 -0.0055
Median 0.0007
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0066
Maximum 0.2267
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0155
Skewness -0.8726
Kurtosis 34.4112

Downside Risk

Close
Semi Deviation 0.0117
Gain Deviation 0.0110
Loss Deviation 0.0140
Downside Deviation (MAR=210%) 0.0160
Downside Deviation (Rf=0%) 0.0117
Downside Deviation (0%) 0.0117
Maximum Drawdown 0.8253
Historical VaR (95%) -0.0212
Historical ES (95%) -0.0389
Modified VaR (95%) -0.0184
Modified ES (95%) -0.0184
From Trough To Depth Length To Trough Recovery
2007-07-17 2009-03-09 NA -0.8253 3445 415 NA
2004-02-17 2004-05-10 2005-08-02 -0.2020 369 59 310
2006-12-22 2007-03-05 2007-07-16 -0.1187 139 47 92
2006-03-27 2006-05-22 2006-07-10 -0.0935 73 40 33
2005-08-05 2005-10-20 2005-12-14 -0.0683 92 54 38

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 0.1 0 0.7 -0.1 0.2 0.2 1.6 -0.4 0.5 -0.1 0.4 0.4 3.7
2005 0.5 0.5 0 1.1 -0.3 0.2 0 1.3 1 0.9 0.5 0.8 6.5
2006 1.4 -0.4 -0.9 -0.5 1.5 0.9 -0.1 -0.1 0.1 -0.1 -0.4 0.7 2.1
2007 -0.6 -1.6 0.4 0.7 -0.1 -0.1 -0.5 2 1.2 -0.6 3.3 -0.4 3.7
2008 1.7 -2.5 3.3 1.4 -0.3 0.2 0.6 0.1 1.6 2.3 -5.7 4.7 7.4
2009 -2.6 -6.4 1.9 1.1 2.2 1 1.8 -1.3 -0.9 -3 1.6 0.8 -4.3
2010 2.1 1.3 1.6 -1.8 0.1 0.5 0.9 3.1 1.4 -0.1 1.6 0 11.2
2011 2 -1.3 1.4 1 -1.7 1.2 0.2 -0.5 0.2 -4.8 1 -0.4 -1.8
2012 1.7 0.1 0.5 0.9 -1.4 2.3 -0.1 0.5 0.9 1.2 0.3 1.9 9
2013 -0.2 0.8 1.3 0.4 -1.9 1.4 0.3 -0.1 0.5 -0.4 1.4 -1.5 2.1
2014 -0.1 0.1 0.7 -0.2 0.4 -0.5 -1.1 -0.1 -1.5 1.6 -1.4 -0.5 -2.6
2015 -1.1 0.6 -0.7 1.1 0 0.5 -0.3 -3.1 0.2 -0.2 0.8 -0.3 -2.5
2016 -0.5 2.5 0.3 -0.4 0.2 1 -0.1 0.3 1.1 -0.9 -0.7 0.1 2.8
2017 -1 1.3 0.1 0.4 0.7 1.1 0 0.7 2.2 0.2 -0.2 0.4 6
2018 0.4 -1.5 1 -1 0.7 0.8 0.1 -0.4 0.9 0.8 0.6 2.9 5.3
2019 -0.8 0.1 2.3 -1 -1.2 1.3 -1.2 0.4 -0.5 1.3 -0.1 1.5 2
2020 -1.4 -3.2 -4.4 -3.8 1.8 1.4 -0.2 0.6 1 -1.8 0.3 0.6 -9
2021 3.3 2.1 0.2 NA NA NA NA NA NA NA NA NA 5.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-01-28  20   SPY    113. -0.0114  -0.015    0.0335   0.094     0.321   -0.160  -0.075  <NA>     NA    NA       NA
2 2004-01-29  20   SPY    113.  0.001   -0.0115   0.0209   0.0804    0.312   -0.165  -0.0835 <NA>     NA    NA       NA
3 2004-01-30  20.0 SPY    113.  0       -0.0083   0.0207   0.0789    0.344   -0.168  -0.0998 <NA>     NA    NA       NA
4 2004-02-02  20.0 SPY    114.  0.0043  -0.0164   0.0242   0.0813    0.324   -0.162  -0.0853 <NA>     NA    NA       NA
5 2004-02-03  20   SPY    114. -0.0017  -0.0078   0.0229   0.0805    0.320   -0.163  -0.102  <NA>     NA    NA       NA
6 2004-02-04  20.0 SPY    113. -0.0082  -0.0046   0.0036   0.0647    0.322   -0.174  -0.116  <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart